Are you talking about Big Picture options?
No, it is the new 13.04 Unity logout/shutdown dialog.
That seems more like a Unity problem (if you cancel it shouldn't do anything at all so Steam shouldn't even know) but I guess it could be something obscure.
Well, it's definitely not obscure. I've had this problem for months and only just traced it back to Steam. It doesn't happen all the time, but it also blocks Gnome from logging out at all when it closes. I checked what was happening by running steam from the terminal and logging out, and it looked like a completely normal shutdown. I don't even know where Steam would find out that the shutdown dialog box is open, let alone close when it does. Please take a look at this as it's causing me to have to hard power off my computer if I accidentally try to shut down with Steam running.
Closing as the original issue appears to have been resolved.
Nothing extracted yet.
When I click on the "Shut Down..." or "Log Out..." buttons in the system menu (at the top left of screen), Steam quits regardless of whether I perform the operation (shutdown or logout) or cancel the dialog. Happens whether or not Steam is the active window
Using Steam on Ubuntu 13.04 (64-bit)